^FCHI vs. ^GSPC
Compare and contrast key facts about CAC 40 (^FCHI) and S&P 500 (^GSPC).
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ^FCHI or ^GSPC.
Key characteristics
| ^FCHI | ^GSPC | |
|---|---|---|
| YTD Return | -1.78% | 20.10% |
| 1Y Return | 5.13% | 31.44% |
| 3Y Return (Ann) | 1.94% | 7.01% |
| 5Y Return (Ann) | 4.77% | 13.30% |
| 10Y Return (Ann) | 5.69% | 10.96% |
| Sharpe Ratio | 0.49 | 2.88 |
| Sortino Ratio | 0.75 | 3.82 |
| Omega Ratio | 1.09 | 1.54 |
| Calmar Ratio | 0.45 | 3.52 |
| Martin Ratio | 1.05 | 18.62 |
| Ulcer Index | 5.77% | 1.89% |
| Daily Std Dev | 12.44% | 12.22% |
| Max Drawdown | -65.29% | -56.78% |
| Current Drawdown | -10.08% | -2.32% |
Correlation
The correlation between ^FCHI and ^GSPC is 0.40, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
^FCHI vs. ^GSPC - Performance Comparison
In the year-to-date period, ^FCHI achieves a -1.78% return, which is significantly lower than ^GSPC's 20.10% return. Over the past 10 years, ^FCHI has underperformed ^GSPC with an annualized return of 5.69%, while ^GSPC has yielded a comparatively higher 10.96% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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Risk-Adjusted Performance
^FCHI vs. ^GSPC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for CAC 40 (^FCHI) and S&P 500 (^GSPC). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
Drawdowns
^FCHI vs. ^GSPC - Drawdown Comparison
The maximum ^FCHI drawdown since its inception was -65.29%, which is greater than ^GSPC's maximum drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for ^FCHI and ^GSPC. For additional features, visit the drawdowns tool.
Volatility
^FCHI vs. ^GSPC - Volatility Comparison
CAC 40 (^FCHI) and S&P 500 (^GSPC) have volatilities of 3.20% and 3.23%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.